Masoliver, Jaume; Montero, Miquel; Porrà, Josep M - In: Physica A: Statistical Mechanics and its Applications 283 (2000) 3, pp. 559-567
High-frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well established by empirical evidence. Specifically, probability distributions have the following properties: (i) They are not Gaussian and their center is...